A General Closed Form Approximation Pricing Formula for Basket and Multi-Asset Spread Options

ISSN Print: 2162-2434
ISSN Online: 2162-2442
www.scirp.org/journal/jmf
E-mail: jmf@scirp.org

Citations

"A General Closed Form Approximation Pricing Formula for Basket and Multi-Asset Spread Options"
written by Tommaso Pellegrino,
published by Journal of Mathematical Finance, Vol.6 No.5, 2016

has been cited by the following article(s):

[1]	Exchange option pricing under variance gamma-like models
	arXiv preprint arXiv:2207.00453, 2022

[2]	Monte Carlo Method for Pricing of Multi-Asset Rainbow Options
	Recent Advances in Mathematical …, 2022

[3]	Применение методов статистической физики для получения оценок баскет-спред опционов для случайных процессов логнормального типа
	2021

[4]	Applying Physical Methods in Financial Modelling
	2021

[5]	Correlating Lévy processes with self-decomposability: applications to energy markets
	Decisions in Economics and Finance, 2021

[6]	Black Basket Analytics for Mid-Curves and Spread-Options
	2020

[7]	Correlating L\'evy processes with Self-Decomposability: Applications to Energy Markets
	2020

[8]	Rainbows and Transforms: Semi-Analytic Formulae
	2020

[9]	Processi di Poisson con salti correlati tramite self-decomposition: pricing di opzioni exchange
	2019

[10]	Pricing exchange options with correlated jump diffusion processes
	Quantitative Finance, 2018

[11]	Pricing Exchange Options with Correlated Jump-diffusion Processes (Manuscript ID RQUF-2017-0008)
	Quantitative Finance, 2017

[1]	Smile-Consistent Spread Skew Risks, 2025 DOI:10.3390/risks13080145

[2]	Closed-form approximations for basket option pricing under normal tempered stable Lévy model The North American Journal of Economics and Finance, 2024 DOI:10.1016/j.najef.2024.102233

[3]	Exchange Option Pricing Under Variance Gamma-Like Models Applied Mathematical Finance, 2022 DOI:10.1080/1350486X.2023.2248791

[4]	Correlating Lévy processes with self-decomposability: applications to energy markets Decisions in Economics and Finance, 2021 DOI:10.1007/s10203-021-00352-9

[5]	Black Basket Analytics for Mid-Curves and Spread-Options SSRN Electronic Journal , 2020 DOI:10.2139/ssrn.3633709

[6]	Rainbows and Transforms: Semi-Analytic Formulae SSRN Electronic Journal , 2020 DOI:10.2139/ssrn.3546869

[7]	Pricing exchange options with correlated jump diffusion processes Quantitative Finance, 2018 DOI:10.1080/14697688.2017.1423371

[8]	Efficient Parallel Solution Methods for High-Dimensional Option Pricing Problems SSRN Electronic Journal, 2015 DOI:10.2139/ssrn.2591254